Test for the equality of autocorrelation coefficients for two populations in multivariate data when the errors are autocorrelated

Madhusudan Bhandary

Statistics & Probability Letters, 2005, vol. 73, issue 4, 333-342

Abstract: We derive a likelihood ratio test for the equality of two autocorrelation coefficients based on two independent multinormal samples. The critical value and the power analysis of the test are obtained through simulation.

Keywords: Likelihood; ratio; test; Autocorrelation; coefficients (search for similar items in EconPapers)
Date: 2005
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